The Influences of the US Stock Market on Virtual Currency Price under US Monetary Policy Threshold

Authors

  • Tzu-Yi Yang Graduate Program of International Business Communication Department of Foreign Languages and Literature National Ilan University, Taiwan
  • Eddy Lie Department of Business and Management Ming Chi University of Technology, Taiwan
  • Chien-Chung Lu Department of Business and Management Ming Chi University of Technology, Taiwan

DOI:

https://doi.org/10.2298/PAN210419003Y

Keywords:

Panel smooth transition regression (PSTR) model, Threshold effect, Virtual currency, US stock market, US monetary policy

Abstract

This study uses a panel smooth transition regression model to investigate the nonlinear relationship between virtual currency and the stock market under the US monetary policy threshold from 7 August 2015 to 27 October 2020. A statistical test showed a threshold effect and confirmed that the relationship between the US stock market and virtual currency is nonlinear. Furthermore, virtual currency fluctuation has asymmetric responses to the US stock market’s fluctuation based on the threshold value. When the federal fund rate exceeds the threshold value, the changes in the S&P500 with a lag of one positively affect the fluctuation of virtual currency.

JEL: C32, C58, E52.

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Published

2024-01-25

How to Cite

Yang, T.-Y., Lie, E., & Lu, C.-C. (2024). The Influences of the US Stock Market on Virtual Currency Price under US Monetary Policy Threshold. Panoeconomicus, 1–19. https://doi.org/10.2298/PAN210419003Y

Issue

Forthcoming

Section

Original scientific paper